Küresel İslami Borsalarda Zayıf ve Yarı-Güçlü Piyasa Etkinliklerinin Geçerliliğinin Araştırılması: Doğrusal ve Doğrusal Olmayan Birim Kök Testleri ve Bootstrap Nedensellik Yaklaşımı ile Kanıtlar

Bu çalışmanın amacı, literatürde yer alan yeni ekonometrik yöntemler kullanılarak seçilmiş İslami endekslerde etkin piyasa hipotezinin zayıf ve yarı-güçlü formlarının geçerli olup olmadığını test etmektir. Bu amaçla, zayıf form etkinliği doğrusal ve doğrusal olmayan birim kök testleri kullanılarak, yarı-güçlü form etkinliği ise bootstrap nedensellik testi kullanılarakincelenmiştir. Birim kök testleri, zayıf form etkinliğinin İslami endekslerin çoğu için desteklendiğini ve hisse senedi fiyatlarının tüm tarihsel bilgileri tam olarak yansıttığını göstermiştir. Bootstrap nedensellik sonuçları, yarı güçlü formun FTSEBMI, KATLM ve ACWI olmak üzere üç borsada geçerli olduğunu göstermiştir. Genel olarak sonuçlar yatırımcının İslami borsalarda normalüstü kar elde etme şansının olmadığını göstermektedir. Borsaların etkinliklerinin arttırılması sermaye tahsisi, hisse senedi fiyat öngörülebilirliği ve uluslararası portföy çeşitlendirilmesi üzerinde önemli bir etkiye sahip olacaktır. Dolayısıyla, finansal piyasaların performansı etkin piyasa hipotezinin geçerliliğinden etkilendiği ve bu yönde politikaların geliştirilmesi gerektiği düşünülmektedir.

Examining the Validity of the Weak and Semi-Strong Market Efficiencies at the Global Islamic Stock Markets: Evidence Linear and Nonlinear Unit Root Tests and Bootstrap Causality Approach

The objective of this paper is to test whether the validity of the weak and semi-strong form ofefficient market hypothesis in selected Islamic stock markets using new econometric methods inthe literature. To this end, the weak-form is examined employing linear and nonlinear unit roottests while the semi-strong form is examined employing bootstrap causality test. The unit roottests revealed that the weak form is supported for most of the Islamic stocks, indicating that stockprices fully reflect all historical information. The bootstrap causality results indicate that thesemi-strong form holds in the three stock markets, namely, FTSEBMI, KATLM, and the ACWI.The overall results suggest that the investor has not a chance to make an abnormal profit inIslamic stock markets. Enhancing the efficiency of the stock markets would have a significanteffect on capital allocation, equity price predictability and international portfolio diversification.Therefore, the performance of financial markets is affected by the validity of efficient markethypothesis and such kind of policies should be implemented.

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